Journal ArticleDOI
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
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TLDR
In this article, the authors uncover strong parallels between the explanatory power of these variables for individual stocks and for countries and find that country versions of BE/ME, market equity, and one-year past return (momentum) help explain the cross-section of expected individual stock returns within the U.S. and within other countries.Abstract:
Book-to-market ratio (BE/ME), market equity (ME), and one- year past return (momentum) (MOM) help explain the cross- section of expected individual stock returns within the U.S. and within other countries. Examining equity markets as a whole, in contrast to individual stocks, we uncover strong parallels between the explanatory power of these variables for individual stocks and for countries. First, country versions of BE/ME, ME, and MOM help explain the cross-section of expected country returns. Second, the January seasonal in ME's explanatory power for stocks also appears for countries. Third, portfolios formed by sorting stocks and countries on these variables produce similar patterns in profitability before and after the portfolio formation date.read more
Citations
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On Persistence in Mutual Fund Performance
TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.
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Value and Momentum Everywhere: Value and Momentum Everywhere
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International Momentum Strategies
TL;DR: Chan, Jegadeesh, and Lakonishok as mentioned in this paper found that medium-term return continuation can be explained in part by underreaction to earnings information, but price momentum is not subsumed by earnings momentum.
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Time Series Momentum
TL;DR: In this article, the authors document significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments they consider, and find persistence in returns for 1 to 12 months that partially reverses over longer horizons.
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International Momentum Strategies
TL;DR: For example, this article found that between 1980 and 1995 an internationally diversified portfolio of past shortterm winners outperformed a portfolio of short-term losers by more than one percent per month, after correcting for risk.
References
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Journal ArticleDOI
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Journal ArticleDOI
An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
Journal ArticleDOI
The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
Posted Content
Contrarian Investment, Extrapolation, and Risk
TL;DR: In this paper, the authors provide evidence that value strategies yield higher returns because these strategies exploit the mistakes of the typical investor, and not because these riskier strategies are fundamentally riskier.
Journal ArticleDOI
Size and Book-to-Market Factors in Earnings and Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, the authors study whether the behavior of stock prices, in relation to size and book-tomarket-equity (BE/ME), reflects the behaviour of earnings and find no link between BE/ME factors in earnings and returns.